Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0910 |
| Annualized Std Dev | 0.3417 |
| Annualized Sharpe (Rf=0%) | 0.2662 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3545.0000 |
| NAs | 1.0000 |
| Minimum | -0.1434 |
| Quartile 1 | -0.0096 |
| Median | 0.0013 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0115 |
| Maximum | 0.1606 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0013 |
| Variance | 0.0005 |
| Stdev | 0.0215 |
| Skewness | -0.2503 |
| Kurtosis | 5.8302 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0157 |
| Gain Deviation | 0.0146 |
| Loss Deviation | 0.0165 |
| Downside Deviation (MAR=210%) | 0.0199 |
| Downside Deviation (Rf=0%) | 0.0154 |
| Downside Deviation (0%) | 0.0154 |
| Maximum Drawdown | 0.7618 |
| Historical VaR (95%) | -0.0334 |
| Historical ES (95%) | -0.0516 |
| Modified VaR (95%) | -0.0338 |
| Modified ES (95%) | -0.0596 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-01-02 | 2008-11-20 | 2020-07-08 | -0.7618 | 3148 | 226 | 2922 |
| 2021-02-10 | 2021-03-08 | NA | -0.2962 | 28 | 18 | NA |
| 2007-07-16 | 2007-08-16 | 2007-10-02 | -0.1452 | 56 | 24 | 32 |
| 2020-09-02 | 2020-09-08 | 2020-09-30 | -0.1310 | 20 | 4 | 16 |
| 2007-11-09 | 2007-11-21 | 2007-12-07 | -0.1233 | 20 | 9 | 11 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -0.6 | -0.6 | -2.1 | 1 | -0.6 | -0.2 | 2.3 | 2.7 | -2.8 | -0.5 | 5.8 | 4.4 |
| 2008 | 3.7 | -3.1 | 2.8 | 0.3 | 3.1 | -2.2 | -1 | -0.4 | 0.5 | 1.1 | -9.6 | 4.1 | -1.5 |
| 2009 | -0.1 | -2.9 | 2.7 | 0.3 | 4.9 | 1.2 | -1.3 | -3 | -5.4 | -3.3 | 3.4 | -0.3 | -4.3 |
| 2010 | 3.3 | 2 | -0.3 | -3.4 | -2.6 | -0.1 | -1 | 4 | -1 | -1.7 | 2.8 | -0.5 | 1.2 |
| 2011 | 2.7 | -1.9 | -1.2 | 1.5 | -3.2 | 0.7 | -0.2 | -2.8 | -2.6 | -5.1 | 1.3 | -0.1 | -10.8 |
| 2012 | 2.2 | -0.7 | 0.4 | 2.2 | -3.9 | 4.5 | -2 | 0 | -0.5 | 2.5 | 0.1 | 0.4 | 5 |
| 2013 | 1.8 | -1.3 | -1.1 | -2 | -2 | 1.9 | -0.2 | -0.9 | 2.8 | 1.8 | 0.1 | -0.1 | 0.6 |
| 2014 | -0.3 | -1 | 2.7 | 0 | -1.3 | 0.6 | -0.8 | 0.8 | -2.5 | 3.1 | -3.2 | 0.1 | -2 |
| 2015 | -1.4 | -0.3 | 0.2 | 0.6 | 0.1 | -1 | -1.8 | -3 | -1.1 | -0.8 | 2.4 | -0.5 | -6.5 |
| 2016 | 0.2 | -0.3 | 0.4 | -2.2 | -0.4 | 0.7 | -0.1 | -0.2 | 1.2 | -1.3 | -2.6 | -1 | -5.5 |
| 2017 | 0.4 | 0.5 | 0.1 | 0.4 | 1.2 | -0.1 | 0.3 | 0.5 | 0.4 | -0.8 | -1.2 | -0.8 | 0.8 |
| 2018 | -0.7 | -1.3 | 2 | -0.3 | 0 | 0.3 | -0.3 | 1.1 | 0.8 | 3.8 | 0.6 | 1 | 7.2 |
| 2019 | 1 | -1.1 | 2 | -0.3 | -2 | 1.8 | -1.2 | 0.3 | -1.7 | 1 | -1 | 0.2 | -1.3 |
| 2020 | -1.9 | -0.1 | -6.8 | -5 | 2.9 | 0 | -0.7 | 1.4 | 2.8 | -2.4 | -2.5 | 0.4 | -11.7 |
| 2021 | 3.3 | 5.2 | 2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 10.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-14 19.9 SPY 146. 0.0066 0.0028 0.0185 0.0533 0.152 0.259 0.311 GLD 66.4 8.00e-3 0.0269
2 2007-02-15 19.9 SPY 146. 0.0013 0.0054 0.0194 0.0521 0.141 0.266 0.299 GLD 66.4 6.00e-4 0.0136
3 2007-02-16 20.0 SPY 146. -0.0005 0.0124 0.0224 0.0438 0.137 0.254 0.300 GLD 66.4 -8.00e-4 0.0036
4 2007-02-20 20.3 SPY 146. 0.0021 0.0181 0.0225 0.043 0.131 0.263 0.317 GLD 65.3 -1.58e-2 -0.0055
5 2007-02-21 20.4 SPY 146. -0.0004 0.0091 0.0253 0.0399 0.133 0.267 0.342 GLD 67.3 3.02e-2 0.0219
6 2007-02-22 20.9 SPY 146. -0.0008 0.0018 0.0215 0.0388 0.135 0.270 0.319 GLD 67.2 -1.90e-3 0.0118
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
